天勤期权策略用户分享_知乎_诸神黄昏

#!/usr/bin/env python
#  -*- coding: utf-8 -*-
#import asyncio
from tqsdk import TqApi, TqAuth
from contextlib import closing
from time import time
# 创建API实例.
api = TqApi(auth=TqAuth("天勤账号", "账号密码"))
 async def taoli(Call='',Put='',Lr=3, Dlr=1): #默认3跳，1跳对手价平仓损耗，1跳抹除手续费，1跳纯利润
    quote_C = api.get_quote(Call)
    quote_P = api.get_quote(Put)
    futer = quote_C.underlying_symbol
    quote_F = api.get_quote(futer)
     async with api.register_update_notify([quote_C,quote_P,quote_F]) as update_chan: #
        async for _ in update_chan:  #
            D_time = (quote_C.last_exercise_datetime-time()) * Lr / (Dlr*86400)
            if quote_C.exercise_type == 'A': 
                lr = quote_F.price_tick * Lr #行权盈利点数
                if D_time <= Lr:
                    dlr = lr
                else : dlr = quote_F.price_tick * D_time #价格变动百分比，到期盈利幅度
             elif quote_C.exercise_type == 'E':
                if D_time <= Lr :
                    lr = dlr = quote_F.price_tick * Lr
                else : lr = dlr = quote_F.price_tick * D_time 
            Cb = quote_C.strike_price + quote_C.ask_price1  #K+C,构建期货多头价格
            Pb = quote_P.strike_price - quote_P.ask_price1  #K-P,构建期货空头价格
            CbPs_Fs = quote_P.strike_price + quote_C.ask_price1 - quote_P.bid_price1  #K+C-P,构建期货多头价格
            PbCs_Fb = quote_P.strike_price + quote_C.bid_price1 - quote_P.ask_price1  #K+C-P,构建期货空头价格
            Fb = quote_F.ask_price1  #期货买入价
            Fs = quote_F.bid_price1  #期货卖出价
            kai = False
            if Fs-Cb >= lr:
                print(Call,'-',futer,'K+C<F:多看涨期权+空期货', Cb, Fs, Cb<Fs,' 利润:',Fs-Cb)
                kai = True
                break
             if Pb-Fb >= lr :
                print(Put,'+',futer,'K-P>F:多看跌期权+多期货',Pb, Fb, Pb>Fb,' 利润:',Pb-Fb)
                kai = True
                break           
                         if Fs-CbPs_Fs >= dlr :
                print(Call,'-',Put,'-',futer,'K+C-P<F:多看涨期权+空看跌期权+空期货',CbPs_Fs, Fs, CbPs_Fs<Fs,' 利润:',Fs-CbPs_Fs)
                kai = True
                break
                         if PbCs_Fb-Fb >= dlr :
                print(Put,'-',Call,'+',futer,'K+C-P>F:多看跌期权+空看涨期权+多期货',PbCs_Fb, Fb, PbCs_Fb>Fb,' 利润:',PbCs_Fb-Fb)
                kai = True
                break
                         if not kai : 
                print('监控中：')
                print(Call,'-',futer,'K+C<F:多看涨期权+空期货', Cb, Fs, Cb<Fs)
                print(Put,'+',futer,'K-P>F:多看跌期权+多期货', Pb, Fb, Pb>Fb)
                print(Call,'-',Put,'-',futer,'K+C-P<F:多看涨期权+空看跌期权+空期货', CbPs_Fs, Fs, CbPs_Fs<Fs)
                print(Put,'-',Call,'+',futer,'K+C-P>F:多看跌期权+空看涨期权+多期货', PbCs_Fb, Fb, PbCs_Fb>Fb)
                #break
 C = []
P = []
exchange = ['SHFE','DCE','CZCE','INE']
for e in exchange :
    quote = api.query_quotes(ins_class='OPTION',exchange_id=e,expired=False)
    for i in quote :
        q = api.get_quote(i)
        if q.option_class == 'CALL' :
            C.append([i,q.underlying_symbol,q.strike_price])
        elif q.option_class == "PUT"  :
            P.append([i,q.underlying_symbol,q.strike_price])
    del quote
 Options = []
for i in C :
    for j in P :
        if i[1] == j[1] and i[2] == j[2]:
            Options.append([i[0],j[0]])
del C , P
 for i in Options :
    api.create_task(taoli(Call=i[0],Put=i[1],Lr=3,Dlr=7))
with closing(api):
    while True :
        api.wait_update()

代码解析：

先获取上海、大连、郑州、能源交易所全部期权，按看涨看跌分类，再把执行价相同的看涨看跌期权组对。

套利机会由异步函数taoli(Call=”,Put=”,Lr=3, Dlr=1)监控。

从上述期权对里获取看涨期权赋值给Call，获取看跌期权赋值给Put。

Lr是最小获利点数，默认3跳，因为套利对在平仓时，以对手价成交会损耗一点，手续费再损耗一点，剩一点为纯利润。

美式期权多头随时可以行权以获得利润，期权空头和欧式期权只能在到期时被行权，参数Dlr表示持有多少天获得Lr点利润可以接受，比如Lr=3, Dlr=7，表示持有7天获得3跳利润可以接受，如果期权到期日是21天，则需获得9跳利润，利润再低就可能不合适了，持有的时间长但获得的利润小有点不值当。

所有的价格判断都以对手价计算，当if语句检测到套利机会时，break语句可换成开仓函数，立即以对手价下单，并在成交后锁定计算的利润，美式期权多头可立即行权并平仓获得利润，期权空头和欧式期权需等到到期时行权再平仓。

期货期权套利机会分析的原理应用的是无风险套利关系式，如下：

1，K+C < F，即执行价K+权利金C<期货价格，此时买入看涨期权+卖空期货，左边等于低价买入期货，右边高价卖出期货，形成锁仓利润

2，K – P > F，即执行价K-权利金P>期货价格，此时买入看跌期权+买入期货，左边等于高价卖空期货，右边低价买入期货，形成锁仓利润

3，K + C – P < F，即执行价K+权利金C-权利金P<期货价格，此时买入看涨期权+卖出看跌期权+卖空期货，左边等于低价买入期货，右边高价卖出期货，形成锁仓利润

4，K + C – P > F，即执行价K+权利金C-权利金P>期货价格，此时买入看跌期权+卖出看涨期权+买入期货，左边等于高价卖空期货，右边低价买入期货，形成锁仓利润